Carr, Peter; Lee, Roger - In: Finance and Stochastics 17 (2013) 4, pp. 685-716
For a family of functions G, we define the G-variation, which generalizes power variation; G-variation swaps, which pay the G-variation of the returns on an underlying share price F; and share-weighted G-variation swaps, which pay the integral of F with respect to G-variation. For instance, the...